Brief paper: A formula for the optimal cost in the general discrete-time LEQG problem

Authors:
A. J. Shaiju;I. R. Petersen
Affiliations:
Department of Mathematics, IIT Madras, Chennai-600036, India;School of Information Technology and Electrical Engineering, University of New South Wales at the Australian Defence Force Academy, ACT 2600, Canberra, Australia
Venue:
Automatica (Journal of IFAC)
Year:
2009

Citing 2
Cited 0

Stochastic systems: estimation, identification and adaptive control

Stochastic systems: estimation, identification and adaptive control
Model Simplification and Optimal Control of Stochastic Singularly Perturbed Systems under Exponentiated Quadratic Cost

SIAM Journal on Control and Optimization

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Abstract

This paper is aimed at deriving an explicit formula for the optimal cost for discrete-time linear exponential-of-quadratic Gaussian (LEQG) control problems. We make direct calculations for the general case with cross terms in the cost and noise covariance matrices using an information-state approach.